Die vorliegende Dissertation besteht aus vier Teilen, die sich mit den Themen Alternative Investments, Katastrophenrisiko und Asset Pricing im Versicherungskontext auseinandersetzen. Mithilfe verschiedener Finanzinstrumente (Aktien, Fonds und Optionen) wird die Bilanz eines...

This article describes a characterisation of competitive market behaviour using the concepts of cointegration analysis. It requires all (n) firms to set prices to follow a single stochastic trend (equivalently the vector of n prices should have cointegrating rank n-1). This implies that, in the...

We investigate the nature of price competition among firms that produce differentiated products and compete in markets that are limited in extent. We propose an instrumental variables series estimator for the matrix of cross price response coefficients, demonstrate that our estimator is...